public virtual void of_construction_additive_1()
{
InflationNodalCurve curveComputed = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_1, LAST_FIX_MONTH_1, LAST_FIX_VALUE, SEASONALITY_ADDITIVE_DEF);
assertEquals(curveComputed.Underlying.XValues.get(0), NB_MONTHS_1, TOLERANCE_TIME);
assertEquals(curveComputed.Underlying.YValues.get(0), LAST_FIX_VALUE, TOLERANCE_TIME);
assertEquals(curveComputed.yValue(NB_MONTHS_1), LAST_FIX_VALUE, TOLERANCE_TIME);
}
public virtual void of_construction_multiplicative_2()
{
InflationNodalCurve curveComputed = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_MULTIPLICATIVE_DEF);
assertEquals(curveComputed.Underlying.XValues.get(0), NB_MONTHS_2, TOLERANCE_TIME);
assertEquals(curveComputed.Underlying.YValues.get(0), LAST_FIX_VALUE, TOLERANCE_TIME);
assertEquals(curveComputed.yValue(NB_MONTHS_2), LAST_FIX_VALUE, TOLERANCE_TIME);
}
public virtual void value_multiplicative()
{
InflationNodalCurve curveComputed = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_MULTIPLICATIVE_DEF);
for (int i = 1; i < TEST_MONTHS.Length; i++)
{
double nbMonths = YearMonth.from(VAL_DATE_2).until(TEST_MONTHS[i], MONTHS);
double valueComputed = curveComputed.yValue(nbMonths);
int x = (int)((nbMonths + 12) % 12);
double valueNoAdj = EXTENDED_CURVE_2.yValue(nbMonths);
double adj = SEASONALITY_MULTIPLICATIVE_COMP_2.get(x);
double valueExpected = valueNoAdj * adj;
assertEquals(valueExpected, valueComputed, TOLERANCE_VALUE);
}
}
public virtual void value_additive()
{
InflationNodalCurve curveComputed = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_ADDITIVE_DEF);
for (int i = 1; i < TEST_MONTHS.Length; i++)
{
double nbMonths = YearMonth.from(VAL_DATE_2).until(TEST_MONTHS[i], MONTHS);
double valueComputed = curveComputed.yValue(nbMonths);
int x = (int)((nbMonths + 12) % 12);
double valueNoAdj = EXTENDED_CURVE_2.yValue(nbMonths);
DoubleArray seasonalityAdditiveCompounded = seasonalityCompounded(VAL_DATE_2, LAST_FIX_MONTH_2, SEASONALITY_ADDITIVE, (v, a) => v + a);
double adj = seasonalityAdditiveCompounded.get(x);
double valueExpected = valueNoAdj + adj;
assertEquals(valueExpected, valueComputed, TOLERANCE_VALUE);
}
}
public virtual void parameter_sensitivity_additive()
{
InflationNodalCurve curve = InflationNodalCurve.of(CURVE_NOFIX, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_ADDITIVE_DEF);
double shift = 1.0E-2;
for (int i = 1; i < TEST_MONTHS.Length; i++)
{
double nbMonths = YearMonth.from(VAL_DATE_2).until(TEST_MONTHS[i], MONTHS);
UnitParameterSensitivity psComputed = curve.yValueParameterSensitivity(nbMonths);
for (int j = 0; j < TIMES.size(); j++)
{
double[] valuePM = new double[2];
for (int pm = 0; pm < 2; pm++)
{
DoubleArray shiftedValues = VALUES.with(j, VALUES.get(j) + (1 - 2 * pm) * shift);
InterpolatedNodalCurve intCurveShifted = InterpolatedNodalCurve.of(METADATA, TIMES, shiftedValues, INTERPOLATOR);
InflationNodalCurve seaCurveShifted = InflationNodalCurve.of(intCurveShifted, VAL_DATE_2, LAST_FIX_MONTH_2, LAST_FIX_VALUE, SEASONALITY_ADDITIVE_DEF);
valuePM[pm] = seaCurveShifted.yValue(nbMonths);
}
assertEquals(psComputed.Sensitivity.get(j), (valuePM[0] - valuePM[1]) / (2 * shift), TOLERANCE_DELTA);
}
}
}
